I was in Tucson back in August. I went out to an area that is called Grant's Pass in which is basically a road from Tucson to Old Tucson. It is short scenic ride with a parking area that overlooks Old Tucson (lower left). 

The first picture is a composite image of two different pictures taken at different exposures. They are overlayed and the unwanted area is erased. Even though I used split neutral density (ND) filters, it is impossible to get the sky and the foreground to be both properly exposed. If I shoot the sky then the land and mountains are a silhouette. If I shoot for the land then the sky is blown out.

I have recently tried the photomerge feature in CS3 but prefer the two exposures, whether done in camera or double processed Raw files. It is much easier to control the aspects of each photo that I like.

In all photos the camera was tripod mounted, especially important if doing a HDR (High Dynamic Range) composite.

 Grant's Pass

The next photo I used the long zoom to capture the mountains in the background.

 Grant's pass mountains

The storm that was coming in was pretty active with lightening. Below are a couple of pics taken after leaving Grant's Pass. For some reason I didn't like being so high up with so much lightening. I was taking long exposures of 20 seconds to try and capture a strike.

 lightning 1

lightning 2